Interest Rate Models

课程

英语

36 时

(12 评论12)

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来自www.coursera.org

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6 序列
等级高级

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课程详情

教学大纲

Week 1 - Introduction
Week 2 - Interest Rates and Related Contracts
We learn various notions of interest rates and some related contracts. Interest is the rent paid on a loan. A bond is the securitized form of a loan. There exist coupon paying bonds and zero-coupon bonds. The latter are also called discount bonds. Interest rat...
Week 3 - Estimating the Term Structure
We learn how to estimate the term structure from market data. There are two types of methods. Exact methods produce term structures that exactly match the market data. This comes at the cost of somewhat irregular shapes. Smooth methods penalize irregular shape...
Week 4 - Stochastic Models
Models for the evolution of the term structure of interest rates build on stochastic calculus. We start with a crash course in stochastic calculus, which introduces Brownian motion, stochastic integration, and stochastic processes without going into mathematic...
Week 5 - Interest Rate Derivatives
We apply what we learnt to price interest rate derivatives. Specifically, we focus on the standard derivatives: interest rate futures, caps and floors, and swaptions. We derive the industry standard Black and Bachelier formulas for cap, floor, and swaption pri...
Week 6 - Final Quiz

先决条件

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讲师

Damir Filipović
EPFL
The Swissquote Chair in Quantitative Finance and Swiss Finance Institute Professor

编辑

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